CreditIndexDefinitions.java
package org.drip.sample.credit;
import org.drip.market.otc.*;
import org.drip.numerical.common.FormatUtil;
import org.drip.service.env.EnvManager;
/*
* -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
*/
/*!
* Copyright (C) 2020 Lakshmi Krishnamurthy
* Copyright (C) 2019 Lakshmi Krishnamurthy
* Copyright (C) 2018 Lakshmi Krishnamurthy
* Copyright (C) 2017 Lakshmi Krishnamurthy
* Copyright (C) 2016 Lakshmi Krishnamurthy
*
* This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
* asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
* analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
* equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
* numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
* and computational support.
*
* https://lakshmidrip.github.io/DROP/
*
* DROP is composed of three modules:
*
* - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
* - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
* - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
*
* DROP Product Core implements libraries for the following:
* - Fixed Income Analytics
* - Loan Analytics
* - Transaction Cost Analytics
*
* DROP Portfolio Core implements libraries for the following:
* - Asset Allocation Analytics
* - Asset Liability Management Analytics
* - Capital Estimation Analytics
* - Exposure Analytics
* - Margin Analytics
* - XVA Analytics
*
* DROP Computational Core implements libraries for the following:
* - Algorithm Support
* - Computation Support
* - Function Analysis
* - Model Validation
* - Numerical Analysis
* - Numerical Optimizer
* - Spline Builder
* - Statistical Learning
*
* Documentation for DROP is Spread Over:
*
* - Main => https://lakshmidrip.github.io/DROP/
* - Wiki => https://github.com/lakshmiDRIP/DROP/wiki
* - GitHub => https://github.com/lakshmiDRIP/DROP
* - Repo Layout Taxonomy => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
* - Javadoc => https://lakshmidrip.github.io/DROP/Javadoc/index.html
* - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
* - Release Versions => https://lakshmidrip.github.io/DROP/version.html
* - Community Credits => https://lakshmidrip.github.io/DROP/credits.html
* - Issues Catalog => https://github.com/lakshmiDRIP/DROP/issues
* - JUnit => https://lakshmidrip.github.io/DROP/junit/index.html
* - Jacoco => https://lakshmidrip.github.io/DROP/jacoco/index.html
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
*
* You may obtain a copy of the License at
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
*
* See the License for the specific language governing permissions and
* limitations under the License.
*/
/**
* <i>CreditIndexDefinitions</i> displays the Definitions of the CDX NA IG OTC Index CDS Contracts.
*
* <br><br>
* <ul>
* <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
* <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
* <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/README.md">DROP API Construction and Usage</a></li>
* <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/cashflow/README.md">Single Name Portfolio CDS Analytics</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/
public class CreditIndexDefinitions {
private static final void DisplayIndexConvention (
final String strFullIndexName)
throws Exception
{
CreditIndexConvention cic = CreditIndexConventionContainer.ConventionFromFullName (strFullIndexName);
System.out.println (
"\t| " + cic.fullName() +
" | " + cic.indexType() +
" | " + cic.indexSubType() +
" | " + cic.seriesName() +
" | " + cic.currency() +
" | " + cic.effectiveDate() +
" | " + cic.maturityDate() +
" | " + cic.frequency() +
" | " + cic.dayCount() +
" | " + FormatUtil.FormatDouble (cic.fixedCoupon(), 3, 0, 10000.) +
" | " + FormatUtil.FormatDouble (cic.recoveryRate(), 2, 0, 100.) +
"% | " + cic.numberOfConstituents() + " ||"
);
}
public static final void main (
final String[] astrArgs)
throws Exception
{
EnvManager.InitEnv ("");
String[] astrFullIndexName = new String[] {
"CDX.NA.IG.S15.5Y",
"CDX.NA.IG.S16.5Y",
"CDX.NA.IG.S17.5Y",
"CDX.NA.IG.S18.5Y",
"CDX.NA.IG.S19.5Y",
"CDX.NA.IG.S20.5Y",
"CDX.NA.IG.S21.5Y",
"CDX.NA.IG.S22.5Y",
"CDX.NA.IG.S23.5Y",
"CDX.NA.IG.S24.5Y",
"CDX.NA.IG.S25.5Y",
"CDX.NA.IG.S26.5Y"
};
System.out.println ("\n");
System.out.println ("\t|----------------------------------------------------------------------------------------------------------||");
System.out.println ("\t| ||");
System.out.println ("\t| CDX NA IG OTC INDEX DEFINITIONS ||");
System.out.println ("\t| ||");
System.out.println ("\t|----------------------------------------------------------------------------------------------------------||");
System.out.println ("\t| ||");
System.out.println ("\t| L -> R: ||");
System.out.println ("\t| ||");
System.out.println ("\t| - Full Name ||");
System.out.println ("\t| - Index Type ||");
System.out.println ("\t| - Index Sub-Type ||");
System.out.println ("\t| - Series Name ||");
System.out.println ("\t| - Currency ||");
System.out.println ("\t| - Effective Date ||");
System.out.println ("\t| - Maturity Date ||");
System.out.println ("\t| - Coupon/Pay Frequency ||");
System.out.println ("\t| - Coupon/Pay Day Count ||");
System.out.println ("\t| - Fixed Coupon Strike (bp) ||");
System.out.println ("\t| - Fixed Recovery Rate ||");
System.out.println ("\t| - Number of Constituents ||");
System.out.println ("\t| ||");
System.out.println ("\t|----------------------------------------------------------------------------------------------------------||");
for (String strFullIndexName : astrFullIndexName)
DisplayIndexConvention (strFullIndexName);
System.out.println ("\t|----------------------------------------------------------------------------------------------------------||");
System.out.println ("\n");
EnvManager.TerminateEnv();
}
}